On the trace approximations of products of Toeplitz matrices

DOI10.1016/J.SPL.2012.11.019MaRDI QIDQ1950698zbMATH OpenOpenAlexFDO

Authors M. S. Ginovyan, Artur Sahakian

Publication date 13 May 2013

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.3568

zbMATH Keywords

spectral densityToeplitz matrixerror boundstationary processtrace approximation

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Toeplitz, Cauchy, and related matrices (15B05) Approximation by operators (in particular, by integral operators) (41A35)

Abstract: The paper establishes error orders for integral limit approximations to the traces of products of Toeplitz matrices generated by integrable real symmetric functions defined on the unit circle. These approximations and the corresponding error bounds are of importance in the statistical analysis of discrete-time stationary processes: asymptotic distributions and large deviations of Toeplitz type random quadratic forms, estimation of the spectral parameters and functionals, etc.

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